-
-
Notifications
You must be signed in to change notification settings - Fork 4.6k
Expand file tree
/
Copy pathBasicTemplateForexAlgorithm.py
More file actions
53 lines (44 loc) · 2.21 KB
/
BasicTemplateForexAlgorithm.py
File metadata and controls
53 lines (44 loc) · 2.21 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
### <summary>
### Algorithm demonstrating FOREX asset types and requesting history on them in bulk. As FOREX uses
### QuoteBars you should request slices
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="history and warm up" />
### <meta name="tag" content="history" />
### <meta name="tag" content="forex" />
class BasicTemplateForexAlgorithm(QCAlgorithm):
def initialize(self):
# Set the cash we'd like to use for our backtest
self.set_cash(100000)
# Start and end dates for the backtest.
self.set_start_date(2013, 10, 7)
self.set_end_date(2013, 10, 11)
# Add FOREX contract you want to trade
# find available contracts here https://www.quantconnect.com/data#forex/oanda/cfd
self.add_forex("EURUSD", Resolution.MINUTE)
self.add_forex("GBPUSD", Resolution.MINUTE)
self.add_forex("EURGBP", Resolution.MINUTE)
self.history(5, Resolution.DAILY)
self.history(5, Resolution.HOUR)
self.history(5, Resolution.MINUTE)
history = self.history(TimeSpan.from_seconds(5), Resolution.SECOND)
for data in sorted(history, key=lambda x: x.time):
for key in data.keys():
self.log(str(key.value) + ": " + str(data.time) + " > " + str(data[key].value))
def on_data(self, data):
# Print to console to verify that data is coming in
for key in data.keys():
self.log(str(key.value) + ": " + str(data.time) + " > " + str(data[key].value))